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yan [13]
4 years ago
11

A trader wishes to unwind a position of 200,000 units in an asset over eight days. The dollar bid–offer spread,as a function of

daily trading volume q, isa+ becq where a = 0.2, b = 0.15, and c = 0.1 and q is measured in thousands. The standard deviation of the price change per day is $1.50. What is the optimal trading strategy for minimizing the 99% confidence level for the costs? What is the average time the trader waits before selling? How does this average time change as the confidence level changes?

Business
1 answer:
suter [353]4 years ago
3 0

Answer

The answer and procedures of the exercise are attached in the following archives.

Step-by-step explanation:

You will find the procedures, formulas or necessary explanations in the archive attached below. If you have any question ask and I will aclare your doubts kindly.  

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